New financial regulations including Dodd-Frank, Basel, MiFID and EMIR are increasing the cost of capital and driving the need to more accurately measure the risks and profitability of OTC derivatives. These regulations significantly increased collateral requirements for cleared trades. This webinar explores the different capital costs arising from clearing and how they compare with costs for OTC trades.
Presenter
Dmitry Pugachevsky, Director of Research, Quantifi
Areas Covered
- Regulations and swap clearing
- MVA - Margin Valuation Adjustment
- The cost of funding initial margins (IMCA)
- The cost and benefit of funding valuation margins
- Funding components of XVA
- OTC trade profitability
- Examples of Cleared and Uncleard IR Swaps
- Reasons OTC trading will continue
- Converging between OTC and Clearing funding costs
View Slides
Recommended Whitepapers and Articles
Whitepaper: Cost of Trading and Clearing OTC Derivatives in the Wake of Margining
A First View on the New CVA Risk Capital Charge
Identifying Liquidity Risk for Financial Stability
Challenges in Implementing a Counterparty Risk Management Process